SMCF[Strategy] vs INav[Benchmark]

28 Feb, 2025 - 8 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	91.0%	100.0%
Cumulative Return	-0.57%	-0.28%
CAGR﹪	-0.42%	-0.21%
Sharpe	-0.11	-0.94
Prob. Sharpe Ratio	13.44%	10.9%
Smart Sharpe	-0.06	-0.54
Sortino	-0.16	-0.98
Smart Sortino	-0.09	-0.56
Sortino/√2	-0.11	-0.7
Smart Sortino/√2	-0.07	-0.4
Omega	0.97	0.97
Max Drawdown	-16.5%	-5.61%
Longest DD Days	211	280
Volatility (ann.)	28.93%	7.14%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	-0.03	-0.04
Skew	1.94	-7.37
Kurtosis	64.13	79.82
Expected Daily	-0.0%	-0.0%
Expected Monthly	-0.03%	-0.02%
Expected Yearly	-0.29%	-0.14%
Kelly Criterion	13.52%	-31.95%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.98%	-0.74%
Expected Shortfall (cVaR)	-2.98%	-0.74%
Max Consecutive Wins	7	15
Max Consecutive Losses	4	2
Gain/Pain Ratio	0.04	0.0
Gain/Pain (1M)	0.59	0.01
Payoff Ratio	1.06	0.24
Profit Factor	1.04	1.0
Common Sense Ratio	1.07	0.6
CPC Index	0.61	0.18
Tail Ratio	1.03	0.59
Outlier Win Ratio	3.31	16.09
Outlier Loss Ratio	3.11	7.47
MTD	-0.85%	-1.22%
3M	-0.48%	-0.09%
6M	-1.44%	-1.76%
YTD	0.28%	-1.48%
1Y	1.17%	0.68%
3Y (ann.)	-0.42%	-0.21%
5Y (ann.)	-0.42%	-0.21%
10Y (ann.)	-0.42%	-0.21%
All-time (ann.)	-0.42%	-0.21%
Best Day	19.88%	0.72%
Worst Day	-16.07%	-5.61%
Best Month	1.73%	2.08%
Worst Month	-4.12%	-3.95%
Best Year	0.28%	1.22%
Worst Year	-0.85%	-1.48%
Avg. Drawdown	-5.25%	-1.66%
Avg. Drawdown Days	53	76
Recovery Factor	-0.03	-0.05
Ulcer Index	0.05	0.02
Serenity Index	-0.33	-0.47
Avg. Up Month	1.03%	0.91%
Avg. Down Month	-1.37%	-1.19%
Win Days	55.44%	74.12%
Win Month	58.82%	52.94%
Win Quarter	57.14%	42.86%
Win Year	50.0%	50.0%
Beta	0.07	-
Alpha	0.04	-
Correlation	1.67%	-
Treynor Ratio	-112.15%	-